OREANDA-NEWS. Fitch Ratings has assigned Claris SME 2015 S.r.l.'s notes final ratings as follows:

EUR1,270,000,000 Class A: 'AA+sf'; Outlook Stable
EUR290,000,000 Class B: 'BB+sf'; Outlook Stable
EUR321,425,000 Class J-1: not rated
EUR81,142,000 Class J-2: not rated

The transaction is a granular cash flow securitisation of a EUR1,953m static pool of mortgage and non-mortgage loans granted to small and medium-sized enterprises (SME) located in Italy. The underlying loans were originated by Veneto Banca S.c.p.a. (VB) and VB's subsidiary, bancApulia S.p.A. (BA).

The ratings address the likelihood of investors receiving interest payments in accordance with the terms of the transaction documentation and full repayment of principal by legal final maturity in October 2062.

KEY RATING DRIVERS
Positive Selection of Portfolio
Fitch determined an annual average probability of default (PD) for the originators' book of 5.75%, resulting in a five-year forward-looking average expected PD for the transaction's portfolio of 5.5%. This implies a positive selection of the securitised portfolio compared with the originators' balance sheet and was accomplished through the removal of lower credit quality obligors from the securitised portfolio.

Trapping of Excess Spread
The transaction's priority of payments uses all available funds after payment of fees, interest on the rated notes and replenishment of the reserve fund to repay principal on the rated notes. No payment to junior items in the waterfall is made until the rated notes are paid in full. Class B note interest will become subordinate to class A principal if the cumulative default ratio is equal to or above 12%.

10 Year Recovery Lag
Fitch has assumed a ten-year linear lag on recovery receipts following defaults in this transaction. This was based on historical recovery data for defaulted loans in VB and BA's loan book.

Commingling and Set-Off Exposure
The securitised portfolio is exposed to set-off risk equal to 5.25% of the opening portfolio notional and commingling risk ranging from 2.1% (at the 'BB+sf' rating stress) to 3.2% (at 'AA+sf') of the opening portfolio notional. In its analysis, Fitch examined exposure to both risks throughout the life of the transaction and in a 'AA+sf' stress assumed a loss equal to the maximum exposure to both risks in a single month.

Sovereign Cap
The notes' ratings are subject to a cap on Italian structured finance transactions, six notches above the rating of the Republic of Italy (BBB+/Stable/F2).

RATING SENSITIVITIES
As part of its analysis, the agency considered the sensitivity of the notes' ratings to the stresses on defaults, recovery rates and correlation to assess the impact on the ratings.

While an increase of 25% of the default probabilities assigned to the underlying obligors could result in a downgrade of one notch for both the class A and B notes' ratings, a decrease of 25% of their assumed recovery rates would have no impact on the ratings. Finally a joint stress combining the above mentioned stresses plus a doubled correlation could lead to a four-notch downgrade for the class A notes' rating and to a three-notch downgrade for the class B notes' rating.

DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY
Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, which indicated errors or missing data related to the loans' origination date and the mortgaged property value information. These findings were immaterial to this analysis.

Fitch conducted a review of a small targeted sample of the originators' origination files and found the information contained in the reviewed files to be adequately consistent with the originators' policies and practices and the other information provided to the agency about the asset portfolio.

Overall, Fitch's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.

REPRESENTATIONS AND WARRANTIES
A comparison of the transaction's representations, warranties and enforcement mechanisms to those typical for the asset class is available by accessing the appendix that accompanies the new issue report that will be shortly available at www.fitchratings.com. In addition refer to the special report "Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions" dated 12 June 2015 and available on the Fitch website.

SOURCES OF INFORMATION
The information below was used in the analysis.
- Loan-by-loan data provided by VB as at 30 September 2015
- Historical performance data provided by VB for 2004-2015
- Loan enforcement details provided by VB for 2004-2015